"Computers are like beer. They look good, they smell good, and you'd step over your own mother just to get one!"
-Homer (quote may be
slighty changed)
I love building computers. I built my first one a few years ago and never looked back.
I've built three computers so far, all mine, and I've had no major problems. None. Somehow Dells, Compaqs, and all the rest always seem to come with prepackaged problems, and yet cost more than if you built your own.
I've bought the majority of the parts for all three computers from
GoogleGear.com, who have changed to
ZipZoomFly.com I guess because of copyright issues (they got Googled you might say), who have been very reliable for me. The only thing I didn't buy from them were the video cards and monitors. And I'll tell you why.
You can get high-end video cards that normally run for about say $400 at retail or major websites for $300 or less at lesser known websites. I'm not sure how or why, but I have a good guess. I think the difference is that:
$400 = Retail version with a pretty Retail box and all the extra software (such as 'free' games), while
$300 = OEM version with all the hardware and wires and such that the retail version has, but no pretty box or games.
So I bought my video cards from
BuyXtremeGear.com, which have very cheap prices. You can get OEM versions of high-end video cards for $100 cheaper or less than their retail versions.
As for monitors, shipping costs are horrendous, and I like to look around a lot for monitors at nearby retail stores before I buy one.
Newegg.com and Pricewatch.com are popular in this thread

. I don't know much about Newegg.com, but if you don't trust BuyXtremeGear.com or want to compare prices I think
Pricewatch.com will give you a lot of websites that also sell OEM versions of videocards.
EDIT: I looked a little at NewEgg.com, and they also sell the OEM versions of video cards, but for about $10-$15 more than BuyXtremeGear.
So come back to the thread when you need help! Like JonBo said, the first time you turn on your freshly built machine problems are likely to arise.